Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0562
Annualized Std Dev 0.1618
Annualized Sharpe (Rf=0%) -0.3474

Row

Daily Return Statistics

Close
Observations 3561.0000
NAs 1.0000
Minimum -0.1839
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0002
Quartile 3 0.0036
Maximum 0.1348
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0102
Skewness -1.0946
Kurtosis 50.7707

Downside Risk

Close
Semi Deviation 0.0075
Gain Deviation 0.0080
Loss Deviation 0.0091
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0076
Downside Deviation (0%) 0.0076
Maximum Drawdown 0.7254
Historical VaR (95%) -0.0131
Historical ES (95%) -0.0249
Modified VaR (95%) -0.0094
Modified ES (95%) -0.0094
From Trough To Depth Length To Trough Recovery
2007-02-08 2020-03-18 NA -0.7254 3554 3300 NA
2007-01-30 2007-01-31 2007-02-01 -0.0030 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0.7 -0.9 0.4 1 1.7 -1.9 -0.8 1.6 -0.2 -0.8 -0.3 0.4 0.7
2008 0.5 -0.9 0.4 0.5 1.5 -0.8 1.3 0.7 -1.1 0.4 -4.1 1.8 0
2009 -1.3 -1.6 1 -0.2 1.3 0.4 1.7 -2 -0.5 -1.1 0.9 -0.2 -1.7
2010 0 0.4 0.2 -0.3 -0.4 -0.7 0.6 1 0.9 -0.1 1.4 0.8 4
2011 0.3 0 0.2 0.1 -0.3 0.3 0.6 -0.9 -1.2 -0.3 -0.2 0.2 -1.2
2012 0.9 0.8 0 0.6 -0.8 0.5 0.3 0 0.1 1.3 0.1 0.8 4.5
2013 0.2 0.3 -0.2 -0.3 0.3 1.5 0.2 0.7 -0.4 0.2 0.4 -0.3 2.6
2014 0 0.1 0.2 0.2 0.7 0.3 -0.2 -0.1 -0.7 0.2 -0.6 -0.1 -0.1
2015 -0.3 0.1 -0.1 0 0 1.5 0.3 -0.1 -0.8 -0.1 0.3 -0.5 0.2
2016 -0.1 0.2 -0.2 0.1 -0.2 0 0 0.1 0.6 -0.4 -0.1 -0.3 -0.3
2017 0.6 0.4 -0.3 -0.5 0.7 0.1 0.2 0.4 0 -0.9 0.8 -0.7 0.8
2018 0.1 0.6 0.5 0.5 0.4 0 0.5 0.4 -0.4 -0.3 0.1 1.4 4.1
2019 -0.4 -0.6 -0.6 0.2 -0.3 0.3 0.1 -0.3 -0.1 -0.1 0.3 1 -0.7
2020 -0.5 -1.1 -4.1 0 -0.1 0 0.1 0.2 0.4 0.7 -0.1 0.1 -4.4
2021 0.6 -0.3 0.7 NA NA NA NA NA NA NA NA NA 0.9

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart